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Prokopczuk, Marcel's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,780 |
Total
Citations
21 |
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1.
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Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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06 Mar 08
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Last Revised:
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24 Apr 12
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584
(20,706)
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4
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Commodities, Integrated Model, Futures, Kalman Filter, Crude Oil
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2.
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Brooks, Chris
University of Reading - ICMA Centre Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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23 May 11
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Last Revised:
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25 Jan 13
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570
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2
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Commodity prices, stochastic volatility, jumps, Markov Chain Monte Carlo
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3.
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Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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27 Feb 09
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Last Revised:
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24 Apr 12
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553
(22,274)
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Commodity Investment, Futures, Crude Oil, Copper, Silver, Gold
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4.
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Back, Janis
WHU - Otto Beisheim School of Management Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
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29 Nov 09
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Last Revised:
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02 Jan 13
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444
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3
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Commodities, Seasonality, Options Pricing
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5.
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Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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22 Jul 09
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Last Revised:
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26 Apr 12
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353
(39,865)
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2
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Commodity Pricing, CARMA, Futures, Crude Oil
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6.
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Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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06 Mar 10
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Last Revised:
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26 Apr 12
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334
(42,515)
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1
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Freight Futures, Hedging, Shipping Derivatives, Imarex
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7.
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Brooks, Chris
University of Reading - ICMA Centre Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Wu, Yingying
University of Reading - ICMA Centre
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25 Oct 11
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Last Revised:
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25 Jan 13
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329
(43,423)
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commodity futures, theory of storage, risk premia
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8.
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Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Siewert, Jan B.
Unversity of Mannheim – Center for Doctoral Studies in Business Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
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04 Oct 10
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Last Revised:
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02 Jan 13
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320
(44,671)
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Covered Bonds, Credit Risk, Cover Pool, Financial Crisis, Pfandbrief
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9.
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Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Wese Simen, Chardin
University of Reading - Henley Business School - ICMA Centre
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284
(51,386)
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1
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commodities, variance risk premia, variance swaps
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10.
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Weber, Michael
University of California, Berkeley - Finance Group Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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09 Sep 09
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Last Revised:
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26 Apr 12
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270
(54,374)
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American Options, GARCH, Implied Calibration, Edgeworth Binomial Tree
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11.
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Symeonidis, Lazaros
University of Reading - ICMA Centre Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Brooks, Chris
University of Reading - ICMA Centre Lazar, Emese
University of Reading - ICMA Centre
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25 Oct 11
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Last Revised:
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02 Jan 13
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264
(56,032)
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2
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Forward curves, scarcity, commodity price volatility, theory of storage, convenience yield
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12.
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Back, Janis
WHU - Otto Beisheim School of Management Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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238
(62,429)
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commodities, derivatives, review
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13.
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Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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11 Mar 10
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Last Revised:
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26 Jul 11
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231
(64,514)
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Crack Spread Options, Option Valuation, Co-integrated Underlyings
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14.
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Bühler, Wolfgang
University of New South Wales, Australian Business School Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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227
(65,997)
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1
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G21, G15, G28, G11
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15.
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Fanone, Enzo
Energetic Source Spa - Renova Group Gamba, Andrea
Warwick Business School - University of Warwick Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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13 May 11
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Last Revised:
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25 Jan 13
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185
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3
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Electricity, Lèvy processes, Price spikes, Negative prices
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16.
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Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Wese Simen, Chardin
University of Reading - Henley Business School - ICMA Centre
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164
(90,370)
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volatility forecasting, volatility risk premium, implied volatility
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17.
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Alexander, Carol
University of Reading - ICMA Centre Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Sumawong, Anannit
University of Sussex
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16 Jan 12
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Last Revised:
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19 Nov 12
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155
(95,143)
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Hedging, Crack Spread, GARCH, Minimum-Variance Hedge
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18.
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Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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02 Feb 10
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Last Revised:
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26 Apr 12
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130
(110,670)
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1
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Intra-Industry Contagion, Banking Sector, Systemic Risk, Earnings Surprises, Event Study
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19.
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Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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| Posted: |
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10 Feb 11
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Last Revised:
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30 Jan 12
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105
(130,690)
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1
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Systemic Risk, Optimal Portfolio Choice
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20.
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Füss, Roland
University of St. Gallen Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics
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19 Feb 13
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Last Revised:
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12 Mar 13
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40
(219,905)
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Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations
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21.
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Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
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| Posted: |
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18 Jan 12
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Last Revised:
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02 Jan 13
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covered bonds, bond risk premia, yield spreads
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22.
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Back, Janis
WHU - Otto Beisheim School of Management Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
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| Posted: |
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05 Jul 11
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Last Revised:
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28 Mar 13
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commodities, seasonality, stochastic volatility, options pricing, natural gas
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23.
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Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Schindlmayr, Gero
affiliation not provided to SSRN Trueck, Stefan
Macquarie University Sydney - Department of Economics
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Power Markets, Spot Market Prices, Load Contracts, Risk Management, RAROC
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